Santosh (32), a resident of Abusar village, in Ratangarh tehsil of the district, last night jumped into the well outside the house along with her children Jitendra (5), Anish (10) and Karuna (12), they added.
Following which the relatives informed the local Sarpanch and police.
"Children were drowned in the well whereas the woman kept standing inside and survived. She received no injuries," SHO Rajaldesar Subhash said.
The reason behind the incident is not known, police said adding her husband has been informed about the incident.
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